How to Measure Slippage to Keep Your Trading Costs Under Control

One of the hardest things for traders when they measure slippage for large volumes of trades is keeping tabs on them. That’s why you need software that can automatically and autonomously run this process for you. The Wakett Framework has been designed specifically for such processes, but what’s even better is that it can run comparisons with historic data or in real-time.

Understanding the Problem with Slippage

Slippage is the discrepancy between the expected price and the execution price, meaning that when you measure slippage, you are keeping track of how much you expected to spend on a security and how much you actually spent it.

Doing these transaction cost analyses manually is practically impossible, especially considering the volume of trade that happens in today’s financial markets. Moreover, even when investing in off-the-shelf software that has the capability to compare the two prices, the calculations will take place on historical reference prices that are provided at the end of the day by a third party, leading in delays and potentially irrelevant information. 

Use the Wakett Framework to Help You Measure Slippage

The Wakett Framework has been designed to help investment managers measure slippage using both historical figures provided by third parties and live data collected by the Framework itself.

In order to achieve these functions, there are three pieces of the Framework that need to work in tandem:

1. CYBMIND, our investment strategy software, can be used to connect and aggregate any data sources needed to collect market prices, reference prices, and the traded prices. It then uses these to calculate slippage in real-time and issue statistics on slippage costs.
2. ONESTAT is our data analysis tool that comes with visualisation capabilities. Through it, you can see streamed or historical data pertaining to your slippage costs, as well as produce charts and statistic tables to easily see and interpret data.
3. NEXTVIEW, our predictive modelling software, can help you to monitor slippage data, identify anomalies, and provide expected values.

 Together, these three components give you a wealth of benefits!

Using Our Software Gives You Several Benefits

As many traders will reveal, slippage costs can burn the return on several trading strategies. Even so, the process many of them undertake to measure slippage also costs a lot of money in human resources and, ultimately, still results in inefficient trading.

Using the Wakett Framework to conduct such calculations helps you: 

• Review your trade order execution and adjust how you enter and exit the market according to the size needed.
• Optimise the order size according to the market liquidity.
• Discover the best time and calendar dates to execute trades.
• Achieve better liquidity and develop efficient execution algo.

 So, with all this in mind, the question that remains is: what are you waiting for? Get in touch with us to discuss how the Wakett Framework could help you control your slippage costs.